On January 7 1998, Madonna traveled to the Indian Wells Valley of the Mojave Desert in California to film the Frozen music video.  Shooting lasted from January 7 to January 10, directed by Chris Cunningham.

Madonna thought of filming the video in Iceland (or somewhere with snow), but decided against the idea.  She thought:

“You know what, I’m going to be freezing. I’m going to be miserable, I’ll be complaining all day, I’ll be sorry that I ever chose a cold place. So I said, ‘Let’s do it in the desert, it’ll be warm,’ and it would be sort of the opposite, because even though you think of deserts as being hot, they’re still sort of frozen in terms of there’s no vegetation and they’re very desolate. I thought that that would still work as a visual, but then we got there and it was like 20 degrees below zero, it was bitterly cold, and I was barefoot. I was barefoot for the entire video, and then it started pouring rain and everyone got really sick, and it just actually turned out to be a really miserable experience.”